Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples
Abstract
In Section 1, we present a number of classical results concerning the Generalized Gamma Convolution (:GGC) variables, their Wiener-Gamma representations, and relation with the Dirichlet processes.To a GGC variable, one may associate a unique Thorin measure. Let a positive r.v. and (resp. the Generalized Gamma Convolution with Thorin measure -times the law of (resp. the law of ). In Section 2, we compare the laws of and .In Section 3, we present some old and some new examples of GGC variables, among which the lengths of excursions of Bessel processes straddling an independent exponential time.
Cite
@article{arxiv.0708.3932,
title = {Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples},
author = {Lancelot F. James and Bernard Roynette and Marc Yor},
journal= {arXiv preprint arXiv:0708.3932},
year = {2009}
}
Comments
Published in at http://dx.doi.org/10.1214/07-PS118 the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)